INVESTMENT PORTFOLIO (unaudited)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Shares

    Value ($)  
 

U.S. Equity — 51.3%

  
 

Communication Services — 23.2%

  
  189,945     

Telesat (a)(b)

      1,789,282  
  169,531     

TerreStar Corporation (b)(c)(d)(e)(f)

      57,676,142  
     

 

 

  
        59,465,424  
     

 

 

  
 

Healthcare — 2.2%

  
  232,800     

Heron Therapeutics, Inc. (a)(b)

      270,048  
  17,200     

Patterson (a)

      572,072  
  2,156,000     

Paratek Pharmaceuticals, Inc. (b)

      4,764,760  
     

 

 

  
        5,606,880  
     

 

 

  
 

Materials — 1.4%

  
  730,484     

MPM Holdings, Inc. (b)(f)

      3,652,420  
     

 

 

  
 

Real Estate — 24.5%

  
  56,000     

Alexandria Real Estate Equities, REIT (a)

      6,355,440  
  8,055     

City Office, REIT (a)

      44,866  
  1,147,062     

GAF REIT (b)(c)(d)(e)

      15,322,199  
  549,863     

NexPoint Diversified Real Estate Trust, REIT (a)(e)

      6,884,285  
  901,385     

NexPoint Real Estate Finance, REIT (a)(e)

      14,052,598  
  172,028     

NexPoint Residential Trust, Inc., REIT (a)(e)

      7,823,833  
  417,500     

Seritage Growth Properties (a)(b)

      3,724,100  
  280,000     

United Development Funding IV, REIT (b)(c)(d)(e)

      220,640  
  875,255     

Whitestone, REIT, Class B (a)

      8,489,974  
     

 

 

  
        62,917,935  
     

 

 

  
  

Total U.S. Equity
(Cost $126,795,854)

      131,642,659  
  

 

 

  

Principal Amount ($)

       
 

U.S. Senior Loans (h) — 13.5%

  
 

Communication Services — 8.4%

  
  21,727,872     

TerreStar Corporation, Term Loan A, 1st Lien,
11% PIK 02/27/28 (c)(d)(e)

      21,677,898  
     

 

 

  
 

Real Estate — 5.1%

  
  5,000,000     

NexPoint SFR Operating Partnership, LP,
05/24/27 (c)(d)(e)

      4,937,500  
  8,500,000     

NHT Operating Partnership LLC Secured Promissory Note,
02/22/27 (c)(d)(e)

      8,130,250  
     

 

 

  
        13,067,750  
     

 

 

  
  

Total U.S. Senior Loans
(Cost $35,218,416)

      34,745,648  
     

 

 

  

Shares

    Value ($)  
 

U.S. LLC Interest — 8.9%

  
 

Real Estate — 8.9%

  
  349     

GAF REIT Sub II, LLC (b)(c)(d)(e)

      9,134,130  
  156,528     

GAF REIT Sub III, LLC (c)(d)(e)

      10,223,918  
  3,789,008     

SFR WLIF III, LLC (c)(d)(e)

      3,512,411  
     

 

 

  
  

Total U.S. LLC Interest
(Cost $24,752,345)

      22,870,459  
  

 

 

  
 

U.S. Master Limited Partnerships — 7.4%

  
 

Energy — 7.4%

  
  1,202,440     

Energy Transfer L.P. (a)

      15,270,988  
  139,050     

Western Midstream Partners L.P. (a)

      3,687,606  
     

 

 

  
  

Total U.S. Master Limited Partnerships
(Cost $23,122,186)

      18,958,594  
  

 

 

  
 

Non-U.S. Equity — 6.3%

  
 

Communication Services — 0.0%

  
  77,866     

Grupo Clarin, Class B (b)(g)

      68,433  
     

 

 

  
 

Consumer Discretionary — 1.4%

  
  3,000     

MercadoLibre, Inc. (a)(b)(g)

      3,553,800  
  718     

Toys ‘R’ Us (b)(c)(d)(g)

      7,113  
     

 

 

  
        3,560,913  
     

 

 

  
 

Energy — 2.0%

  
  65,800     

Targa Resources (a)(g)

      5,007,380  
  121     

Transocean (b)(g)

      848  
     

 

 

  
        5,008,228  
     

 

 

  
 

Financials — 0.0%

  
  24,300     

Grupo Supervielle SA ADR (a)(b)(g)

      75,573  
  3,995     

StoneCo, Class A (a)(b)(g)

      50,897  
     

 

 

  
        126,470  
     

 

 

  
 

Healthcare — 0.0%

  
  10,445     

HLS Therapeutics Inc. (g)

      52,486  
     

 

 

  
 

Industrials — 0.5%

  
  60,593     

GL Events (g)

      1,304,952  
     

 

 

  
 

Utilities — 2.4%

  
  202,250     

Central Puerto ADR (a)(g)

      1,401,592  
  67,700     

Pampa Energia ADR (a)(b)(g)

      2,932,764  
  66,500     

Vistra Corp. (a)(g)

      1,745,625  
     

 

 

  
        6,079,981  
     

 

 

  
  

Total Non-U.S. Equity
(Cost $14,986,511)

      16,201,463  
  

 

 

  
 

INVESTMENT PORTFOLIO (unaudited) (continued)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Units

           Value ($)  
 

U.S. Warrants — 6.5%

  
 

Energy — 6.5%

  
  28,562     

Quarternorth Energy Holding Inc.(b)

      3,266,779  
  127,592     

Quarternorth Energy Holding Inc. Tranche 1, Expires 08/27/2029(b)

      2,339,208  
  245,732     

Quarternorth Energy Holding Inc. Tranche 2, Expires 08/27/2029(b)

      1,965,856  
  79,147     

Quarternorth Energy Holding Inc. Tranche 3, Expires 08/27/2029(b)

      9,052,438  
     

 

 

  
  

Total U.S. Warrants
(Cost $12,952,253)

      16,624,281  
  

 

 

  

Principal Amount ($)

       
 

U.S. Asset-Backed Securities — 4.6%

  
  250,000     

CFCRE Commercial Mortgage Trust, Series 2017-C8, Class D
3.00%, 6/15/2050 (i)

      169,663  
  5,746,955     

FREMF Mortgage Trust,
Series 2018-KF44, Class C
ICE LIBOR USD 1 Month + 8.500%, 13.69%, 2/25/2025 (i)

      5,734,384  
  5,889,595     

FREMF Mortgage Trust,
Series 2021-KF103, Class CS
SOFR30A + 6.250%, 11.29%, 1/25/2031 (i)

      5,900,638  
     

 

 

  
  

Total U.S. Asset-Backed Securities
(Cost $11,861,355)

      11,804,685  
  

 

 

  

Shares

              
 

U.S. Preferred Stock — 4.1%

  
 

Financials — 1.4%

  
  104,500     

First Horizon (a)(j)

      2,296,615  
  89,000     

Western Alliance Bancorp (a)(j)

      1,272,700  
     

 

 

  
        3,569,315  
     

 

 

  
 

Healthcare — 1.3%

  
  310,782     

Apnimed (b)(c)(d)(j)

      3,449,991  
     

 

 

  
 

Real Estate — 1.4%

  
  239,774     

Braemar Hotels & Resorts,
Inc. (a)(b)(j)

      3,356,836  
  13,831     

NexPoint Diversified Real Estate Trust (a)(e)(j)

      221,296  
     

 

 

  
        3,578,132  
     

 

 

  
  

Total U.S. Preferred Stock
(Cost $9,711,320)

      10,597,438  
  

 

 

  

Principal Amount ($)

    Value ($)  
 

Non-U.S. Sovereign Bonds — 3.7%

  
  

Argentine Republic Government International Bond

   
  90,699     

1.00%, 7/9/2029 (g)

      29,586  
  29,000,000     

3.50%, 7/9/2041(g)(k)

      9,365,172  
     

 

 

  
  

Total Non-U.S. Sovereign Bonds
(Cost $16,629,079)

      9,394,758  
  

 

 

  

Units

              
 

U.S. Rights — 3.4%

  
 

Utilities — 3.4%

  
  7,905,143     

Texas Competitive Electric Holdings Co., LLC(b)

      8,628,464  
     

 

 

  
  

Total U.S. Rights
(Cost $22,029,102)

      8,628,464  
  

 

 

  

Shares

              
 

Non-U.S. Master Limited Partnership — 0.8%

  
 

Energy — 0.8%

  
  78,631     

Enterprise Products Partners (a)(g)

      2,071,927  
     

 

 

  
  

Total Non-U.S. Master Limited Partnership
(Cost $2,151,846)

      2,071,927  
  

 

 

  

Principal Amount ($)

       
 

U.S. Corporate Bonds & Notes — 0.3%

  
 

Communication Services — 0.3%

  
  

iHeartCommunications, Inc.

   
  320,615     

6.38%, 05/01/26 (a)

      269,357  
  584,493     

8.38%, 05/01/27 (a)

      390,298  
     

 

 

  
  

Total U.S. Corporate Bonds & Notes
(Cost $1,518,452)

      659,655  
  

 

 

  

Units

              
 

Non-U.S. Warrants — 0.0%

  
 

Communication Services — 0.0%

  
  1,109     

iHeartCommunications, Inc. 05/01/2039(b)(g)

      3,133  
     

 

 

  
 

Industrials — 0.0%

  
  1,260,362     

American Airlines Group,
Inc.(b)(c)(d)(g)

      —    
     

 

 

  
  

Total Non-U.S. Warrants
(Cost $23,084)

      3,133  
  

 

 

  
 

INVESTMENT PORTFOLIO (unaudited) (continued)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Principal Amount ($)

    Value ($)  
 

Non-U.S. Asset-Backed Security — 0.0%

  
  246,196     

Pamco Cayman, Ltd., Series 1997-1A, Class B
7.91%, 8/6/2013 (c)(d)(g)(i)

      11  
     

 

 

  
  

Total Non-U.S. Asset-Backed Security
(Cost $167,413)

      11  
  

 

 

  

Shares

              
 

U.S. Exchange-Traded Funds — 2.5%

  
  22,500     

ProShares Ultra Bloomberg Natural Gas

      1,552,275  
  206,850     

Teucrium Corn Fund (a)

      4,590,001  
  8,750     

VelocityShares 3x Long Silver ETN linked to the S&P GSCI Silver Index (a)

      317,669  
     

 

 

  
  

Total U.S. Exchange-Traded Funds
(Cost $8,100,654)

      6,459,945  
  

 

 

  
 

Non-U.S. Registered Investment Company — 1.4%

  
  10,000     

BB Votorantim Highland Infrastructure LLC (c)(d)(e)

      3,550,683  
     

 

 

  
  

Total Non-U.S. Registered Investment Company
(Cost $4,571,783)

      3,550,683  
  

 

 

  
 

U.S. Registered Investment Companies — 5.8%

  
  334,005     

Highland Opportunities and Income Fund (a)(e)

      3,016,065  
  706,236     

NexPoint Event Driven Fund, Class Z (e)

      10,650,046  
  57,126     

NexPoint Merger Arbitrage Fund, Class Z (e)

      1,096,827  
     

 

 

  
  

Total U.S. Registered Investment Companies
(Cost $15,465,437)

      14,762,938  
  

 

 

  

Principal Amount ($)

    Value ($)  
 

U.S. Repurchase Agreement — 0.0%

  
  12     

RBC
5.060%, dated 06/30/2023 to be repurchased on 07/03/2023, repurchase price $12 (collateralized by U.S. Government and Treasury obligations, ranging in par value $0 – $3, 0.000% – 7.500%, 07/31/2023 – 05/20/2053; with total market value $12)(l)(m)

      12  
     

 

 

  
  

Total U.S. Repurchase Agreement
(Cost $12)

      12  
  

 

 

  

Shares

              
 

U.S. Cash Equivalent — 0.3%

  
 

Money Market Fund(n) — 0.3%

  
  825,664     

Dreyfus Treasury Obligations Cash Management, Institutional Class 5.000%

      825,664  
     

 

 

  
  

Total U.S. Cash Equivalent
(Cost $825,664)

      825,664  
  

 

 

  
 

Total Investments - 120.8%

      309,802,417  
  

 

 

  
 

    (Cost $330,882,766)

   
 

Securities Sold Short — (2.0)%

  
 

U.S. Equity — (2.0)%

  
 

Communication Services — (1.7)%

  
  (9,952)     

Netflix, Inc. (o)

      (4,383,757 ) 
     

 

 

  
 

Consumer Staples — (0.3)%

  
  (4,000)     

WD-40 Co.

      (754,600 ) 
     

 

 

  
  

Total U.S. Equity
(Proceeds $1,665,944)

      (5,138,357 ) 
     

 

 

  
  

Total Securities Sold Short- (2.0)%
(Proceeds $1,665,944)

      (5,138,357 ) 
     

 

 

  
 

Other Assets & Liabilities,
Net - (18.8)%(p)

      (48,273,176 ) 
  

 

 

  
 

Net Assets - 100.0%

      256,390,884  
  

 

 

  
 

INVESTMENT PORTFOLIO (unaudited) (continued)

 

As of June 30, 2023    Highland Global Allocation Fund

 

(a)

All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged as collateral was $90,869,210.

(b)

Non-income producing security.

(c)

Securities with a total aggregate value of $137,842,886, or 53.8% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Investment Portfolio for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.

(d)

Represents fair value as determined by the Investment Adviser pursuant to the policies and procedures approved by the Board of Trustees (the “Board”). The Board has designated the Investment Adviser as “valuation designee” for the Fund pursuant to Rule 2a-5 of the Investment Company Act of 1940, as amended. The Investment Adviser considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $137,842,886, or 53.8% of net assets, were fair valued under the Fund’s valuation procedures as of June 30, 2023. Please see Notes to Investment Portfolio.

(e)

Affiliated issuer. Assets with a total aggregate fair value of $178,130,721, or 69.5% of net assets, were affiliated with the Fund as of June 30, 2023.

(f)

Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the policies and procedures established by the Board. Additional Information regarding such securities follows:

 

Restricted
Security

    Security Type    Acquisition
Date		      Cost of
Security		      Fair Value
at Period
End		      Percent of
Net Assets		  

MPM Holdings, Inc.

    Common
Stock		      5/15/2019      $ —        $ 3,652,420        1.4 % 

TerreStar Corporation

    Common
Stock		      11/14/2014      $ 48,015,562      $ 57,676,142        22.5 % 

 

(g) 

As described in the Fund’s prospectus, a company is considered to be a non-U.S. issuer if the company’s securities principally trade on a market outside of the United States, the company derives a majority of its revenues or profits outside of the United States, the company is not organized in the United States, or the company is significantly exposed to the economic fortunes and risks of regions outside the United States.

(h)

Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Fund invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread (unless otherwise identified, all senior loans carry a variable rate of interest). These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. As of June 30, 2023, the LIBOR USD 1 Month rate was 5.22%. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity maybe substantially less than the stated maturity shown.

(i)

Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. The Board has determined these investments to be liquid. At June 30, 2023, these securities amounted to $11,804,696 or 4.6% of net assets.

(j)

Perpetual security with no stated maturity date.

(k)

Step Coupon Security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(l)

Tri-Party Repurchase Agreement.

(m)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2023 was $12.

(n)

Rate reported is 7 day effective yield.

(o)

No dividend payable on security sold short.

(p)

As of June 30, 2023, $758,831 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”.

 

INVESTMENT PORTFOLIO (unaudited) (concluded)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Reverse Repurchase Agreement outstanding as of June 30, 2023 was as follows:

 

Counterparty

   

Collateral Pledged

    Interest Rate
%		      Trade
Date		      Repurchase
Amount		     Principal
Amount		     Value  

Mizuho Securities

   

FREMF Mortgage Trust, Series 2018-KF44, Class C, 07/01/2023

      6.89        03/22/2023      $ (3,554,000 )    $ (3,554,000 )    $ (3,554,000 ) 
             

 

 

    

 

 

  

Total Reverse Repurchase Agreement

            $ (3,554,000 )    $ (3,554,000 ) 
          

 

 

    

 

 

  

 

NOTES TO INVESTMENT PORTFOLIO (unaudited)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Organization

NexPoint Funds II (the “Trust”) is a Massachusetts business trust organized on August 10, 1992. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. It comprises two portfolios (collectively the “Funds”) that are currently being offered. This report covers information for the period ended June 30, 2023 for Highland Global Allocation Fund (the “Fund”). NexPoint Climate Tech Fund is reported separately.

Valuation of Investments

Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated NexPoint as the Fund’s valuation designee to perform the fair valuation determination for securities and other assets held by the Fund. NexPoint acting through its “Valuation Committee,” is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of NexPoint and certain of NexPoint’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is subject to Board oversight and certain reporting and other requirements intended to provide the Board the information it needs to oversee NexPoint’s fair value determinations. The Fund’s investments are recorded at fair value. In computing the Fund’s net assets attributable to shares, securities with readily available market quotations on the New York Stock Exchange (“NYSE”), National Association of Securities Dealers Automated Quotation (“NASDAQ”) or other nationally recognized exchange, use the closing quotations on the respective exchange for valuation of those securities. Securities for which there are no readily available market quotations will be valued pursuant to policies established by NexPoint and approved by the Fund’s Board. Typically, such securities will be valued at the mean between the most recently quoted bid and ask prices provided by the principal market makers. If there is more than one such principal market maker, the value shall be the average of such means. Securities without a sale price or quotations from principal market makers on the valuation day may be priced by an independent pricing service. Generally, the Fund’s loan and bond positions are not traded on exchanges and consequently are valued based on a mean of the bid and ask price from the third-party pricing services or broker-dealer sources that the Investment Adviser has determined to have the capability to provide appropriate pricing services.

Securities for which market quotations are not readily available, or for which the Fund has determined that the price received from a pricing service or broker-dealer is “stale” or otherwise does not represent fair value (such as when events materially affecting the value of securities occur between the time when market price is determined and calculation of the Fund’s NAV) will be valued by the Fund at fair value, as determined by the Board or its designee in good faith in accordance with procedures approved by the Board, taking into account factors reasonably determined to be relevant including: (i) the fundamental analytical data relating to the investment; (ii) the nature and duration of restrictions on disposition of the securities; and (iii) an evaluation of the forces that influence the market in which these securities are purchased and sold. In these cases, the Fund’s NAV will reflect the affected portfolio securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other investment companies to calculate their NAVs. Determination of fair value is uncertain because it involves subjective judgments and estimates.

There can be no assurance that the Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security. Those differences could have a material impact to the Fund.

Fair Value Measurements

The Fund has performed an analysis of all existing investments and derivative instruments to determine the significance and character of inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:

Level 1 — Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement;

NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades; broker quotations that constitute an executable price; and alternative pricing sources supported by observable inputs are classified within Level 2. Level 2 inputs are either directly or indirectly observable for the asset in connection with market data at the measurement date; and

Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

The Investment Adviser has established policies and procedures, as described above and approved by the Board, to ensure that valuation methodologies for investments and financial instruments that are categorized within all levels of the fair value hierarchy are fair and consistent. A Valuation Committee has been established to provide oversight of the valuation policies, processes and procedures, and is comprised of personnel from the Investment Adviser and its affiliates. The Valuation Committee meets monthly to review the proposed valuations for investments and financial instruments and is responsible for evaluating the overall fairness and consistent application of established policies.

The fair value of the Fund’s loans, bonds and asset-backed securities are generally based on quotes received from brokers or independent pricing services. Loans, bonds and asset-backed securities with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. Senior loans, bonds and asset-backed securities that are priced using quotes derived from implied values, indicative bids, or a limited number of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.

The fair value of the Fund’s common stocks, exchange traded funds, rights and warrants that are not actively traded on national exchanges are generally priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades and are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable. Exchange-traded options are valued based on the last trade price on the primary exchange on which they trade. If an option does not trade, the mid-price, which is the mean of the bid and ask price, is utilized to value the option.

At the end of each calendar quarter, the Investment Adviser evaluates the Level 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, the Investment Adviser evaluates the Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

NOTES TO INVESTMENT PORTFOLIO (unaudited) (concluded)

 

As of June 30, 2023    Highland Global Allocation Fund

 

Affiliated Issuers

Under Section 2(a)(3) of the Investment Company Act of 1940, as amended, a portfolio company is defined as “affiliated” if a fund owns five percent or more of its outstanding voting securities or if the portfolio company is under common control. The table below shows affiliated issuers of each Fund as of June 30, 2023:

 

Issuer

   Shares/
Principal
Amount ($)
at September
30,
2022		     Beginning
Value as of
September
30, 2022
$		     Purchases
at Cost
$		     Proceeds
from
Sales
$		     Distribution
to Return of
Capital
$		     Net
Amortization
(Accretion)
of Premium/
(Discount)
$		     Net
Realized
Gain (Loss)
on Sales of
Affiliated
Issuers
$		     Change in
Unrealized
Appreciation
(Depreciation)
$		     Ending
Value as of
June 30,
2023
$		     Shares/
Principal
Amount ($)
June 30,
2023		     Affiliated
Income
$		     Cap Gain
Distributions
$		  

Majority Owned, Not Consolidated

                        

None

                        

Other Affiliates

                        

Terrestar Corporation (U.S. Equity)

     169,531       61,209,167       —         —         —         —         —         (3,533,025 )      57,676,142       169,531       —         —    

GAF REIT (U.S. Equity)

     1,146,313       16,028,896       10,000       —         —         —         —         (716,697 )      15,322,199       1,147,062       —       —    

NexPoint Diversified Real Estate Trust (U.S. Equity)

     549,863       6,900,781       —       —         (329,918 )      —         —         313,422       6,884,285       549,863       (82,480 ) †      —    

NexPoint Real Estate Finance (U.S. Equity)

     1,322,385       19,809,333       —         (8,187,526 )      —         —         576,775       1,854,016       14,052,598       901,385       997,506       —    

NexPoint Residential Trust, Inc. (U.S. Equity)

     168,760       7,798,400       143,744       —         (149,024 )      —         —         30,713       7,823,833       172,028       (19,577 ) †      —    

United Development Funding IV (U.S. Equity)

     280,000       260,400       —         —         (54,600 )      —         —         14,840       220,640       280,000       —         —    

Terrestar Corporation (U.S. Senior Loan)

     19,996,652       19,854,675       1,731,220       —         —         1,075       —         90,928       21,677,898       21,727,872       1,747,127       —    

NexPoint SFR Operating Partnership, LP (U.S. Senior Loan)

     5,000,000       5,000,000       —         —         —         —         —         (62,500 )      4,937,500       5,000,000       281,250       —    

NHT Operating Partnership LLC Secured Promissory Note (U.S. Senior Loan)

     8,500,000       7,871,000       —         —         —         —         —         259,250       8,130,250       8,500,000       350,625       —    

GAF REIT Sub II, LLC (U.S. LLC Interest)

     349       9,715,224       —         —         —         —         —         (581,094 )      9,134,130       349       —         —    

GAF REIT Sub III, LLC (U.S. LLC Interest)

     —         —         11,587,526       —         —         —         —         (1,363,608 )      10,223,918       156,528       —         —    

SFR WLIF III, LLC (U.S. LLC Interest)

     3,789,008       3,565,226       —         —         —         —         —         (52,815 )      3,512,411       3,789,008       232,079       —    

NexPoint Diversified Real Estate Trust (U.S. Preferred Stock)

     —         —         220,395       —         —         —         —         901       221,296       13,831       9,509       —    

BB Votorantim Highland Infrastructure LLC (Non-U.S. Registered Investment Company)

     10,000       3,395,347       —         —         —         —         —         155,336       3,550,683       10,000       —         —    

Highland Opportunities and Income Fund (U.S. Registered Investment Company)

     334,005       3,246,529       —         —         (133,068 )      —         —         (97,396 )      3,016,065       334,005       98,398       —    

NexPoint Event Driven Fund (U.S. Registered Investment Company)

     706,236       10,445,237       —         —         —         —         —         204,809       10,650,046       706,236       —         —    

NexPoint Merger Arbitrage Fund (U.S. Registered Investment Company)

     54,992       1,080,585       41,502       —         —         —         —         (25,260 )      1,096,827       57,126       27,652       —    

Other Controlled

                        

None

                        
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

     42,028,094       176,180,800       13,734,387       (8,187,526 )      (666,610 )      1,075       576,775       (3,508,180 )      178,130,721       43,514,824       3,642,089       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

†

The Fund’s reported affiliated income from NexPoint Diversified Real Estate Trust and NexPoint Residential Trust, Inc. includes prior year return of capital adjustments of $(329,918) and $(149,024), respectively, resulting in the Fund reporting a negative value for income received from NexPoint Diversified Real Estate Trust and NexPoint Residential Trust, Inc.. Excluding the prior year adjustments, the Fund received $247,438 in dividend income from NexPoint Diversified Real Estate Trust and $129,447 in dividend income from NexPoint Residential Trust, Inc..    

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